The Credible Interval

Understanding the Credible Interval

In the realm of Bayesian statistics, the credible interval is a range of values within which an unobserved parameter value falls with a particular probability. It is a key concept in Bayesian inference, where the degree of belief or support for a given proposition or parameter value is updated as new evidence is presented.

The credible interval is analogous to the confidence interval used in frequentist statistics, but there is a fundamental philosophical difference between the two. While a confidence interval is constructed from the perspective of repeated sampling, a credible interval is derived from the posterior distribution of the parameter of interest and represents a direct probabilistic interpretation.

Definition of Credible Interval

A credible interval for a parameter is defined by two numbers between which the parameter is believed to lie with a certain probability. For example, a 95% credible interval for a parameter might be [a, b], where there is a 95% probability that the true value of the parameter lies between a and b according to the posterior distribution.

The width of the credible interval reflects the uncertainty about the parameter: a wide interval indicates more uncertainty, while a narrow interval indicates less uncertainty. The actual values that define the interval depend on the posterior distribution of the parameter, which in turn is influenced by the prior distribution and the likelihood of the observed data.

Calculation of Credible Intervals

To calculate a credible interval, one must first obtain the posterior distribution of the parameter of interest. This involves using Bayes' theorem to update the prior beliefs about the parameter in light of the new data. Once the posterior distribution is determined, the credible interval can be extracted by finding the range within which the desired proportion of the distribution lies.

There are different methods to select the interval from the posterior distribution. The most common is the highest posterior density (HPD) interval, which is the narrowest interval for a given probability level. This means that for a 95% HPD interval, every point inside the interval has a higher probability density than any point outside the interval.

Interpretation of Credible Intervals

The interpretation of a credible interval is more intuitive than that of a confidence interval. If one says that the 95% credible interval for a parameter is [a, b], it means that given the observed data and the prior information, there is a 95% probability that the parameter lies between a and b. This is a direct probabilistic statement about the parameter, which is not the case with confidence intervals.

In contrast, a 95% confidence interval does not allow for such a direct interpretation. It means that if the same procedure were repeated an infinite number of times, 95% of the calculated confidence intervals would contain the true parameter value. The confidence interval does not provide a probability that the parameter lies within a specific interval from a single experiment.

Applications of Credible Intervals

Credible intervals are widely used in various fields, especially those that naturally incorporate Bayesian methods. For instance, in medical statistics, credible intervals can be used to estimate the effectiveness of a new treatment or the prevalence of a disease in a population. In environmental science, they might be used to assess the parameters of a climate model. In machine learning, credible intervals can quantify the uncertainty in predictions made by Bayesian models.


The credible interval is a central concept in Bayesian analysis, providing a direct and intuitive way to express uncertainty about a parameter. It allows statisticians and researchers to make probabilistic statements about the parameters of interest and to update their beliefs with new evidence. As Bayesian methods continue to grow in popularity across various scientific disciplines, the use of credible intervals is likely to become even more widespread.

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